A multi-innovation generalized extended stochastic gradient algorithm for output nonlinear autoregressive moving average systems

DOI10.1016/j.amc.2014.08.096zbMath1343.62059MaRDI QIDQ297706

Qin Zhou, Baolin Liu, Yuanbiao Hu

Publication date: 17 June 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.08.096

zbMATH Keywords

recursive identification; parameter estimation; nonlinear system; gradient algorithm

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F10: Point estimation

65C30: Numerical solutions to stochastic differential and integral equations

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